Displaced lognormal volatility skews: analysis and applications to stochastic volatility simulations (Q470513): Difference between revisions

@@ Property / author @@
+Sumit K. Garg
@@ Property / author: Sumit K. Garg / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+H30
@@ Property / Mathematics Subject Classification ID: 60H30 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+B70
@@ Property / Mathematics Subject Classification ID: 91B70 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+P05
@@ Property / Mathematics Subject Classification ID: 62P05 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6368833
@@ Property / zbMATH DE Number: 6368833 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+displaced lognormal
@@ Property / zbMATH Keywords: displaced lognormal / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+displaced diffusion
@@ Property / zbMATH Keywords: displaced diffusion / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+implied volatility
@@ Property / zbMATH Keywords: implied volatility / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+control variate
@@ Property / zbMATH Keywords: control variate / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1007/s10436-009-0145-7
+Normal rank
@@ Property / OpenAlex ID @@
+W2058635507
@@ Property / OpenAlex ID: W2058635507 / rank @@
+Normal rank
@@ Property / cites work @@
+Computing the implied volatility in stochastic volatility models
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Monte Carlo methods for security pricing
@@ Property / cites work: Monte Carlo methods for security pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Q2782353
@@ Property / cites work: Q2782353 / rank @@
+Normal rank
@@ Property / cites work @@
+A Double-Exponential Fast Gauss Transform Algorithm for Pricing Discrete Path-Dependent Options
+Normal rank
@@ Property / cites work @@
+Pricing and Hedging Path-Dependent Options Under the CEV Process
+Normal rank
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+PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH
+Normal rank
@@ Property / cites work @@
+Q4942767
@@ Property / cites work: Q4942767 / rank @@
+Normal rank
@@ Property / cites work @@
+A TWO-REGIME, STOCHASTIC-VOLATILITY EXTENSION OF THE LIBOR MARKET MODEL
+Normal rank
@@ Property / cites work @@
+ON THE RELATIONSHIP BETWEEN THE CALL PRICE SURFACE AND THE IMPLIED VOLATILITY SURFACE CLOSE TO EXPIRY
+Normal rank
@@ Property / cites work @@
+Displaced Diffusion as an Approximation of the Constant Elasticity of Variance
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:470513